Cambium non est mutuum: exchange and interest rates in medieval Europe

A major gap in our understanding of the medieval economy concerns interest rates, especially relating to commercial credit. Although direct evidence about interest rates is scattered and anecdotal, there is much more surviving information about exchange rates. Since both contemporaries and historians have suggested that exchange and rechange transactions could be used to disguise the charging of interest in order to circumvent the usury prohibition, it should be possible to back out the interest rates from exchange rates. The following analysis is based on a new dataset of medieval exchange rates collected from commercial correspondence in the archive of Francesco di Marco Datini of Prato, c.1383-1411. It demonstrates that the time value of money was consistently incorporated into market exchange rates. Moreover, these implicit interest rates are broadly comparable to those received from other types of commercial loan and investment. Although on average profitable, the return on any individual exchange and rechange transaction did involve a degree of uncertainty that may have justified their non-usurious nature. However, there were also practical reasons why medieval merchants may have used foreign exchange transactions as a means of extending credit.

MODELLING OF HIGH-PRESSURE PHASE EQUILIBRIUM IN SYSTEMS OF INTEREST IN THE FOOD ENGINEERING FIELD USING THE PENG-ROBINSON EQUATION OF STATE WITH TWO DIFFERENT MIXING RULES

In this work, thermodynamic models for fitting the phase equilibrium of binary systems were applied, aiming to predict the high pressure phase equilibrium of multicomponent systems of interest in the food engineering field, comparing the results generated by the models with new experimental data and with those from the literature. Two mixing rules were used with the Peng-Robinson equation of state, one with the mixing rule of van der Waals and the other with the composition-dependent mixing rule of Mathias et al. The systems chosen are of fundamental importance in food industries, such as the binary systems CO(2)-limonene, CO(2)-citral and CO(2)-linalool, and the ternary systems CO(2)-Limonene-Citral and CO(2)-Limonene-Linalool, where high pressure phase equilibrium knowledge is important to extract and fractionate citrus fruit essential oils. For the CO(2)-limonene system, some experimental data were also measured in this work. The results showed the high capability of the model using the composition-dependent mixing rule to model the phase equilibrium behavior of these systems.

Network genealogy of 195-bp satellite DNA supports the superimposed hybridization hypothesis of Trypanosoma cruzi evolutionary pattern

Trypanosoma cruzi is highly diverse genetically and has been partitioned into six discrete typing units (DTUs), recently re-named T. cruzi I-VI. Although T. cruzi reproduces predominantly by binary division, accumulating evidence indicates that particular DTUs are the result of hybridization events. Two major scenarios for the origin of the hybrid lineages have been proposed. It is accepted widely that the most heterozygous TcV and TcVI DTUs are the result of genetic exchange between TcII and TcIII strains. On the other hand, the participation of a TcI parental in the current genome structure of these hybrid strains is a matter of debate. Here, sequences of the T. cruzi-specific 195-bp satellite DNA of TcI, TcII, Tat, TcV, and TcVI strains have been used for inferring network genealogies. The resulting genealogy showed a high degree of reticulation, which is consistent with more than one event of hybridization between the Tc DTUs. The data also strongly suggest that Tat is a hybrid with two distinct sets of satellite sequences, and that genetic exchange between TcI and TcII parentals occurred within the pedigree of the TcV and TcVI DTUs. Although satellite DNAs belong to the fast-evolving portion of eukaryotic genomes, in >100 satellite units of nine T. cruzi strains we found regions that display 100% identity. No DTU-specific consensus motifs were identified, inferring species-wide conservation. (C) 2010 Elsevier B.V. All rights reserved.

Brazilian indexing and inertial inflation: evidence from time-varying estimates of an inflation transfer function

This paper is a theoretica1 and empirica1 study of the re1ationship between indexing po1icy and feedback mechanisms in the inflationary adjustment process in Brazil. The focus of our study is on two policy issues: (1) did the Brazilian system of indexing of interest rates, the exchange rate, and wages make inflation so dependent on its own past values that it created a significant feedback process and inertia in the behaviour of inflation in and (2) was the feedback effect of past inf1ation upon itself so strong that dominated the effect of monetary/fiscal variables upon current inflation? This paper develops a simple model designed to capture several "stylized facts" of Brazi1ian indexing po1icy. Separate ru1es of "backward indexing" for interest rates, the exchange rate, and wages, reflecting the evolution of po1icy changes in Brazil, are incorporated in a two-sector model of industrial and agricultural prices. A transfer function derived irom this mode1 shows inflation depending on three factors: (1) past values of inflation, (2) monetary and fiscal variables, and (3) supply- .shock variables. The indexing rules for interest rates, the exchange rate, and wages place restrictions on the coefficients of the transfer function. Variations in the policy-determined parameters of the indexing rules imply changes in the coefficients of the transfer function for inflation. One implication of this model, in contrast to previous results derived in analytically simpler models of indexing, is that a higher degree of indexing does not make current inflation more responsive to current monetary shocks. The empirical section of this paper studies the central hypotheses of this model through estimation of the inflation transfer function with time-varying parameters. The results show a systematic non-random variation of the transfer function coefficients closely synchronized with changes in the observed values of the wage-indexing parameters. Non-parametric tests show the variation of the transfer function coefficients to be statistically significant at the time of the changes in wage indexing rules in Brazil. As the degree of indexing increased, the inflation feadback coefficients increased, while the effect of external price and agricultura shocs progressively increased and monetary effects progressively decreased.

Testing the externalities hypothesis of endogenous growth using cointegration

The initial endogenous growth models emphasized the importance of externaI effects in explaining sustainable growth across time. Empirically, this hypothesis can be confirmed if the coefficient of physical capital per hour is unity in the aggregate production function. Although cross-section results concur with theory, previous estimates using time series data rejected this hypothesis, showing a small coefficient far from unity. It seems that the problem lies not with the theory but with the techniques employed, which are unable to capture low frequency movements in high frequency data. This paper uses cointegration - a technique designed to capture the existence of long-run relationships in multivariate time series - to test the externalities hypothesis of endogenous growth. The results confirm the theory' and conform to previous cross-section estimates. We show that there is long-run proportionality between output per hour and a measure of capital per hour. U sing this result, we confmn the hypothesis that the implied Solow residual can be explained by government expenditures on infra-structure, which suggests a supply side role for government affecting productivity and a decrease on the extent that the Solow residual explains the variation of output.

Testing the hypothesis of contagion using multivariate volatility models

The aim of this paper is to test whether or not there was evidence of contagion across the various financial crises that assailed some countries in the 1990s. Data on sovereign debt bonds for Brazil, Mexico, Russia and Argentina were used to implement the test. The contagion hypothesis is tested using multivariate volatility models. If there is any evidence of structural break in volatility that can be linked to financial crises, the contagion hypothesis will be confirmed. Results suggest that there is evidence in favor of the contagion hypothesis.

Sinaliza����o de pol��tica monet��ria e movimentos na estrutura a termo da taxa de juros no Brasil

O objetivo deste artigo �� examinar como as decis��es de taxa de juros b��sica no Brasil (um forte mecanismo de sinaliza����o em pol��tica monet��ria) afetam a estrutura a termo da curva de juros. Diferentemente de outros trabalhos sobre o caso brasileiro, este avalia a evolu����o da previsibilidade das decis��es de pol��tica monet��ria ap��s a introdu����o do regime de metas de infla����o e, tamb��m, compara esta evolu����o com outros pa��ses. A metodologia utilizada �� um estudo de eventos em 2 per��odos distintos: entre jan/2000 e ago/2003, ap��s a introdu����o do regime de metas de infla����o, e entre set/2003 e jul/2008, quando o regime de metas atinge certa maturidade. Os resultados indicam que: 1) os efeitos surpresa na curva de juros est��o menores; 2) o poder explicativo das a����es de pol��tica monet��ria aumentou; 3) o mercado tem efetuado o ajuste das expectativas de decis��o sobre a taxa de juros com anteced��ncia de 3 dias; 4) a previsibilidade e transpar��ncia das decis��es de pol��tica monet��ria no Brasil aumentaram e est��o pr��ximas daquelas observadas nos EUA e Alemanha e superiores ao caso italiano e brit��nico.

O Impacto da Pol��tica Monet��ria sobre os juros e cr��dito banc��rio

In the last years, credit market has shown strong growth since interest rates and bank spreads have followed a declined route. This dissertation analyzes the impact of the monetary policy on the bank margins and interest rates of some type of credit operations and tests the relation between interest rates, loans and GDP. The cointegration test results can not reject the hypothesis that Selic rate could be affecting the bank margins and interest rates and also that there is a long term relation between interest rates, loans and GDP.

Essays in macroeconomy and dynamic term-structure models

This thesis is composed of three articles with the subjects of macroeconomics and - nance. Each article corresponds to a chapter and is done in paper format. In the rst article, which was done with Axel Simonsen, we model and estimate a small open economy for the Canadian economy in a two country General Equilibrium (DSGE) framework. We show that it is important to account for the correlation between Domestic and Foreign shocks and for the Incomplete Pass-Through. In the second chapter-paper, which was done with Hedibert Freitas Lopes, we estimate a Regime-switching Macro-Finance model for the term-structure of interest rates to study the US post-World War II (WWII) joint behavior of macro-variables and the yield-curve. We show that our model tracks well the US NBER cycles, the addition of changes of regime are important to explain the Expectation Theory of the term structure, and macro-variables have increasing importance in recessions to explain the variability of the yield curve. We also present a novel sequential Monte-Carlo algorithm to learn about the parameters and the latent states of the Economy. In the third chapter, I present a Gaussian A ne Term Structure Model (ATSM) with latent jumps in order to address two questions: (1) what are the implications of incorporating jumps in an ATSM for Asian option pricing, in the particular case of the Brazilian DI Index (IDI) option, and (2) how jumps and options a ect the bond risk-premia dynamics. I show that jump risk-premia is negative in a scenario of decreasing interest rates (my sample period) and is important to explain the level of yields, and that gaussian models without jumps and with constant intensity jumps are good to price Asian options.

A estrutura a termo da taxa de juros no Brasil: testando rela����es de codepend��ncia de ordem zero

Este trabalho testa a exist��ncia de rela����es de codepend��ncia de ordem zero em spreads formados a partir da estrutura a termo da taxa de juros no Brasil. O objetivo �� verificar se existem combina����es lineares dos spreads que geram um processo ru��do branco contempor��neo. Essas combina����es lineares poderiam ser utilizadas para a previs��o de taxas de juros futuras dado que desvios destas rela����es est��veis implicariam em um movimento futuro das taxas de juros no sentido de restabelecer o equil��brio. O modelo de Nelson e Siegel (1987) serve de base te��rica para os testes emp��ricos. Ao verificar a hip��tese de codepend��ncia de ordem zero �� poss��vel tamb��m analisar premissas quanto aos par��metros do modelo em rela����o �� estrutura a termo da taxa de juros no Brasil. As evid��ncias obtidas a partir dos resultados emp��ricos apontam na rejei����o da hip��tese de codepend��ncia de ordem zero e, consequentemente, na impossibilidade de definir as combina����es lineares mencionadas. Esta constata����o pode estar relacionada aos per��odos de instabilidade presentes na amostra ou na exist��ncia de codepend��ncia de ordem superior a zero.

US real interest rates and default risk in emerging economies

This paper empirically investigates the impact of changes in US real interest rates on sovereign default risk in emerging economies using the method of identification through heteroskedasticity. Policy-induced increases in US interest rates starkly raise default risk in emerging market economies. However, the overall correlation between US real interest rates and the risk of default is negative, demonstrating that the effects of other variables dominate the anterior relationship

Rela����o entre as componentes principais da estrutura a termo da taxa de juros brasileira e as vari��veis macroecon��micas

Este trabalho observa como as vari��veis macroecon��micas (expectativa de infla����o, juro real, hiato do produto e a varia����o cambial) influenciam a din��mica da Estrutura a Termo da Taxa de Juros (ETTJ). Esta din��mica foi verificada introduzindo a teoria de An��lise de Componentes Principais (ACP) para capturar o efeito das componentes mais relevantes na ETTJ (n��vel, inclina����o e curvatura). Utilizando-se as estimativas por m��nimos quadrados ordin��rios e pelo m��todo generalizado dos momentos, foi verificado que existe uma rela����o estatisticamente significante entre as vari��veis macroecon��micas e as componentes principais da ETTJ.

Tr��s ensaios sobre pol��tica monet��ria e cr��dito

In the first essay, "Determinants of Credit Expansion in Brazil", analyzes the determinants of credit using an extensive bank level panel dataset. Brazilian economy has experienced a major boost in leverage in the first decade of 2000 as a result of a set factors ranging from macroeconomic stability to the abundant liquidity in international financial markets before 2008 and a set of deliberate decisions taken by President Lula's to expand credit, boost consumption and gain political support from the lower social strata. As relevant conclusions to our investigation we verify that: credit expansion relied on the reduction of the monetary policy rate, international financial markets are an important source of funds, payroll-guaranteed credit and investment grade status affected positively credit supply. We were not able to confirm the importance of financial inclusion efforts. The importance of financial sector sanity indicators of credit conditions cannot be underestimated. These results raise questions over the sustainability of this expansion process and financial stability in the future. The second essay, ���Public Credit, Monetary Policy and Financial Stability���, discusses the role of public credit. The supply of public credit in Brazil has successfully served to relaunch the economy after the Lehman-Brothers demise. It was later transformed into a driver for economic growth as well as a regulation device to force private banks to reduce interest rates. We argue that the use of public funds to finance economic growth has three important drawbacks: it generates inflation, induces higher loan rates and may induce financial instability. An additional effect is the prevention of market credit solutions. This study contributes to the understanding of the costs and benefits of credit as a fiscal policy tool. The third essay, ���Bayesian Forecasting of Interest Rates: Do Priors Matter?���, discusses the choice of priors when forecasting short-term interest rates. Central Banks that commit to an Inflation Target monetary regime are bound to respond to inflation expectation spikes and product hiatus widening in a clear and transparent way by abiding to a Taylor rule. There are various reports of central banks being more responsive to inflationary than to deflationary shocks rendering the monetary policy response to be indeed non-linear. Besides that there is no guarantee that coefficients remain stable during time. Central Banks may switch to a dual target regime to consider deviations from inflation and the output gap. The estimation of a Taylor rule may therefore have to consider a non-linear model with time varying parameters. This paper uses Bayesian forecasting methods to predict short-term interest rates. We take two different approaches: from a theoretic perspective we focus on an augmented version of the Taylor rule and include the Real Exchange Rate, the Credit-to-GDP and the Net Public Debt-to-GDP ratios. We also take an ���atheoretic��� approach based on the Expectations Theory of the Term Structure to model short-term interest. The selection of priors is particularly relevant for predictive accuracy yet, ideally, forecasting models should require as little a priori expert insight as possible. We present recent developments in prior selection, in particular we propose the use of hierarchical hyper-g priors for better forecasting in a framework that can be easily extended to other key macroeconomic indicators.

Ensaios sobre a estrutura a termo da taxa de juros

Esta tese �� composta de tr��s artigos que analisam a estrutura a termo das taxas de juros usando diferentes bases de dados e modelos. O cap��tulo 1 prop��e um modelo param��trico de taxas de juros que permite a segmenta����o e choques locais na estrutura a termo. Adotando dados do tesouro americano, duas vers��es desse modelo segmentado s��o implementadas. Baseado em uma sequ��ncia de 142 experimentos de previs��o, os modelos propostos s��o comparados �� benchmarks e conclu��-se que eles performam melhor nos resultados das previs��es fora da amostra, especialmente para as maturidades curtas e para o horizonte de previs��o de 12 meses. O cap��tulo 2 acrescenta restri����es de n��o arbitragem ao estimar um modelo polinomial gaussiano din��mico de estrutura a termo para o mercado de taxas de juros brasileiro. Esse artigo prop��e uma importante aproxima����o para a s��rie temporal dos fatores de risco da estrutura a termo, que permite a extra����o do pr��mio de risco das taxas de juros sem a necessidade de otimiza����o de um modelo din��mico completo. Essa metodologia tem a vantagem de ser facilmente implementada e obt��m uma boa aproxima����o para o pr��mio de risco da estrutura a termo, que pode ser usada em diferentes aplica����es. O cap��tulo 3 modela a din��mica conjunta das taxas nominais e reais usando um modelo afim de n��o arbitagem com vari��veis macroecon��micas para a estrutura a termo, afim de decompor a diferen��a entre as taxas nominais e reais em pr��mio de risco de infla����o e expectativa de infla����o no mercado americano. Uma vers��o sem vari��veis macroecon��micas e uma vers��o com essas vari��veis s��o implementadas e os pr��mios de risco de infla����o obtidos s��o pequenos e est��veis no per��odo analisado, por��m possuem diferen��as na compara����o dos dois modelos analisados.